A PORTMANTEAU TEST FOR SERIALLY CORRELATED ERRORS IN FIXED EFFECTS MODELS

DOI10.1017/S0266466606060385zbMath1100.62085OpenAlexW2152004727MaRDI QIDQ3408522

Atsushi Inoue, Gary Solon

Publication date: 14 November 2006

Published in: Econometric Theory (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1017/s0266466606060385

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Monte Carlo methods (65C05)

Related Items (13)

Testing for serial independence of panel errors ⋮ Asymptotic properties of a robust variance matrix estimator for panel data when \(T\) is large ⋮ Testing serial correlation in fixed effects regression models based on asymptotically unbiased autocorrelation estimators ⋮ A joint serial correlation test for linear panel data models ⋮ A Test for Slope Heterogeneity in Fixed Effects Models ⋮ Asymptotically unbiased estimation of autocovariances and autocorrelations with panel data in the presence of individual and time effects ⋮ Testing for Trend Specifications in Panel Data Models ⋮ Nonparametric dynamic panel data models: kernel estimation and specification testing ⋮ Testing for serial correlation in hierarchical linear models ⋮ Testing for heteroskedasticity in fixed effects models ⋮ Testing for Persistence in the Error Component Model: A One-Sided Approach ⋮ A PORTMANTEAU TEST FOR CORRELATION IN SHORT PANELS ⋮ Testing for Serial Correlation in Fixed-Effects Panel Data Models

Uses Software

• Stata
• xtserial

Cites Work

• xtserial
• Estimation of fixed effect models for time series of cross-sections with arbitrary intertemporal covariance
• Analysis of Covariance with Qualitative Data
• Serial Correlation and the Fixed Effects Model
• How Much Should We Trust Differences-In-Differences Estimates?

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